No Active Keying Set?
This is a list of possible keying sets: choose one of them (generally LocRot or LocRotScale) and you'll be ok: i.e., if you set LocRot, every time you will click on the keyframe icon six keyframes will be added on every selected element: three about Location (X,Y,Z values) and three about Rotation (again X,Y,Z; four values if the rotation is expressed as quaternion).